Drift estimation for Stochastic (partial) differential equations: An introduction

Add to your list(s) Download to your calendar using vCal

• Randolf Altmeyer
• Wednesday 03 March 2021, 14:00-15:00
• https://maths-cam-ac-uk.zoom.us/j/95531783868?pwd=U3pPbmYxTXZYRVZMWFBVTkVnWmUvZz09.

If you have a question about this talk, please contact Neil Deo.

In this talk, I will introduce stochastic differential equations and review the basic ingredients for estimating their parameters from data. These insights will be applied subsequently to the estimation of the diffusivity in a stochastic heat equation, which is a simple, but important stochastic partial differential equation.

This talk is part of the CMI Student Seminar Series series.

This talk is included in these lists:

• CMI Student Seminar Series
• https://maths-cam-ac-uk.zoom.us/j/95531783868?pwd=U3pPbmYxTXZYRVZMWFBVTkVnWmUvZz09

Note that ex-directory lists are not shown.